{
  "id": "math/0610486",
  "version": "v1",
  "published": "2006-10-16T14:22:28.000Z",
  "updated": "2006-10-16T14:22:28.000Z",
  "title": "Dirichlet forms in simulation",
  "authors": [
    "Nicolas Bouleau"
  ],
  "journal": "Monte Carlo Methods and Applications 11 (2005) n4, 385-396",
  "categories": [
    "math.PR"
  ],
  "abstract": "Equipping the probability space with a local Dirichlet form with square field operator $\\Gamma$ and generator $A$ allows to improve Monte Carlo computations of expectations, densities, and conditional expectations, as soon as we are able to simulate a random variable $X$ together with $\\Gamma[X]$ and $A[X]$. We give examples on the Wiener space, on the Poisson space and on the Monte Carlo space. When $X$ is real-valued we give an explicit formula yielding the density at the speed of the law of large numbers.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2006-10-16T14:22:28.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "31C25",
      "60H07",
      "65G99",
      "65C05",
      "65C20"
    ],
    "keywords": [
      "simulation",
      "monte carlo space",
      "local dirichlet form",
      "square field operator",
      "monte carlo computations"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math.....10486B"
    }
  }
}